The Effect of Systematic Risk Model of Fundamental and Stock Company Study Food and Beverage Firm Listing in Indonesia Stock Exchange (BEI) Year 2008 - 2012

Abstract

Food and Beverage Company is one sector that is highly sensitive to macroeconomic indicators. This resulted in the price of food and beverage company shares on the Stock Exchange fluctuated greatly. Stock price fluctuations can be regarded as a mirror in which the company’s performance is shown by the market power of stock trading transactions in the capital market. High and low stock prices are influenced by internal factors as fundamental factors are derived from the Integration and external factors such as environmental factors, social, political and economic. Fundammental describe risk factors and returns to be received by investors on their investment. The sample used in this study were 10 food and beverage companies in the PT. Indonesia Stock Exchange from 2008 to 2012. The type of data used is quantitative data, while visits to get it, the data used are secondary data in the form of corporate financial data financial statements ranging from 2008 to 2012. The variables used in the study consisted of the independent variable is Return On Equity ( X1 ) , Earning Per Share ( X2 ) and Systematic Risk ( X3 ) , and the dependent variable is the Share Price ( Y ) . For sampling technique using purposive sampling and testing of hypotheses used in the multiple linear regression analysis techniques. The conclusion from the results of the F test showed that simultaneous 0:00 Return On Equity ( X1 ) , Earning Per Share ( X2 ) and Systematic Risk ( X3 ) have a significant effect on Stock Price ( Y ) . T test results showed that partially Return On Equity ( X1 ) and Earning Per Share ( X2 ) 0:00 generating significant value which means a significant effect on stock prices , while the Systematic Risk ( X3 ) 0757 results are significantly greater than the rate of 0:05 , which has no effect significant stock price .

Keywords: Return on Equity (ROE), Earning Per Share (EPS), and Systematic Risk and Stock Price